adapted wasserstein distance 1barycenters 1gaussian processes 1martingale constraints 1optimal transport 1stochastic control 1
From the 1 of 3 linked papers with an AI index.
3 papers
math.PR2026
Adapted Wasserstein Barycenters of Gaussian Processes
Madhu Gunasingam, Francesco Mattesini, Johannes Wiesel +1
The paper investigates how to compute barycenters of filtered Gaussian processes using the adapted Wasserstein distance, providing existence results, decomposition into classical B…
math.PR2026
Adapted Optimal Transport between Filtered Gaussian Processes
Madhu Gunasingam, Ting-Kam Leonard Wong
We continue the study of adapted optimal transport in the discrete-time Gaussian setting. To this end, we introduce a space of filtered Gaussian processes where both the randomness…
math.PR2025
Adapted optimal transport between Gaussian processes in discrete time
Madhu Gunasingam, Ting-Kam Leonard Wong
We derive explicitly the adapted -Wasserstein distance between non-degenerate Gaussian distributions on and characterize the optimal bicausal coupling(s). This le…